README.md

In lucatrapin/FinEx: Financial econometrics analysis with extreme value statistics

FinEx

The FinEx R package provides several econometrics techniques based on extreme value statistics to compute dynamic conditional risk measures commonly used in financial econometrics. All the methodological aspects of the available techniques can be found in the referenced articles.

For any question, suggestion or comment, write to: [e-mail]

Installation

Install the package using

remotes::install_github("lucatrapin/FinEx")

References

Bee, M., & Trapin, L. (2018). Estimating and forecasting conditional risk measures with extreme value theory: A review. Risks, 6(2), 45.

Bee, M., Dupuis, D. J., & Trapin, L. (2018). Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements. Journal of Applied Econometrics, 33(3), 398-415.

Bee, M., Dupuis, D. J., & Trapin, L. (2019). Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures. Journal of Financial Econometrics, 17(2), 254-283.

lucatrapin/FinEx documentation built on Dec. 21, 2021, 11:52 a.m.